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Consider a position consisting of a $250,000 investment in gold and a $350,000 investment in silver. Suppose that the daily volatilities of these two assets

Consider a position consisting of a $250,000 investment in gold and a $350,000 investment in silver. Suppose that the daily volatilities of these two assets are 1.5% and 1.3%, respectively, and that the coefficient of correlation between their assets is 1.7%. What is the 10-day 97.5% value at risk for the portfolio. By how much does diversification reduce the VaR?

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